This paper considers risks of the investment portfolio, which consist of distributed
mortgages and sold European call options. It is assumed that the stream of the credit
payments could fall by a jump. The time of the jump is modeled by the exponential
distribution. We suggest that the returns on stock are variance-gamma distributed.
The value at risk, the expected shortfall and the entropic risk measure for this
portfolio are calculated in closed forms. The obtained formulas exploit the values
of generalized hypergeometric functions.